Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0800
Annualized Std Dev 0.2223
Annualized Sharpe (Rf=0%) 0.3597

Row

Daily Return Statistics

Close
Observations 5192.0000
NAs 1.0000
Minimum -0.1251
Quartile 1 -0.0060
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0073
Maximum 0.1065
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0140
Skewness -0.3680
Kurtosis 7.4173

Downside Risk

Close
Semi Deviation 0.0102
Gain Deviation 0.0095
Loss Deviation 0.0109
Downside Deviation (MAR=210%) 0.0147
Downside Deviation (Rf=0%) 0.0100
Downside Deviation (0%) 0.0100
Maximum Drawdown 0.5457
Historical VaR (95%) -0.0217
Historical ES (95%) -0.0336
Modified VaR (95%) -0.0220
Modified ES (95%) -0.0416
From Trough To Depth Length To Trough Recovery
2008-06-06 2008-11-20 2010-11-22 -0.5457 622 118 504
2000-09-05 2002-10-09 2005-11-22 -0.4666 1312 525 787
2020-02-21 2020-03-23 2020-08-17 -0.3925 124 22 102
2011-07-08 2011-10-03 2012-09-14 -0.2587 301 61 240
2018-09-17 2018-12-24 2019-12-20 -0.2437 319 69 250

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA 0.5 1.1 -1 0.2 2.9 -2.6 1.1
2001 -1.1 -0.2 0.4 1.4 0.8 1.6 0.6 0.5 -2.5 1.3 -0.1 -0.8 1.7
2002 -0.4 2.6 0.1 0.1 0.1 -3 -2.5 -0.3 1.4 1.9 -0.2 0.9 0.5
2003 1.6 0.5 -0.2 0.1 2 0.8 -1 0.7 1.9 0.2 1.5 -0.8 7.5
2004 0.2 2 1 -1 0.4 -1 0.2 0.7 1.6 -0.2 1.1 -0.1 5
2005 0.5 0.6 -0.3 0.4 0.8 0.4 0.3 -0.7 1.1 1.3 1.2 -0.6 5
2006 0.5 1.6 0 -0.3 1.4 0.2 -0.8 0.8 -0.6 -1.3 0 -0.8 0.7
2007 1 -0.4 0.1 0.4 0.6 -0.1 0.2 1.6 1.3 -2 0.6 -1.2 2
2008 2.3 -3.2 3.1 0.6 0.9 0.3 -0.1 -1.1 -1.3 2.6 -9.8 1.9 -4.5
2009 -2.2 -0.4 0.9 0.3 3.7 0.7 0 -1.9 -2.7 -2.7 1.6 -1.2 -4.2
2010 1.5 2.1 1.1 -1.9 -2.5 -0.4 0.3 3.3 0.1 -0.1 1.9 -0.6 4.7
2011 1.3 -1.7 0.5 0.2 -2.3 1.7 -0.6 -1.5 -3 -3.2 -0.4 -0.6 -9.4
2012 1.8 0.9 0 0.5 -3.3 3 -0.9 0.6 -0.5 2.4 -0.1 1.7 6
2013 0.8 -0.2 -1.1 -1.8 -1.1 1 2.2 -1.5 1.6 0.3 -0.6 0.4 -0.1
2014 -0.6 0.2 1.2 0.3 -0.3 1 -0.2 0.6 -1.4 1.1 -1.5 -1.2 -0.8
2015 -1.6 -0.3 -0.4 1.1 0.3 0.5 0.3 -2.7 -0.2 -0.1 0.8 -1.1 -3.3
2016 0.2 2.3 0.7 -0.7 0.4 0.1 0.2 0.1 0.8 -1 -0.5 -0.4 2
2017 -0.2 1.6 0.1 0.5 1.4 0.2 0.4 0.3 0.2 -0.3 -0.3 -0.6 3.2
2018 0.3 -0.5 1.5 0.6 0.7 0.2 -0.2 0.4 -0.8 2.2 0.8 1.2 6.4
2019 0.3 0.8 1.1 -1.1 -0.6 0.3 -1 0 -1.7 1.3 -1 0.1 -1.5
2020 -2 -1.7 -5.5 -3 0.9 0 -0.4 0.8 1.4 -0.8 0.9 0.1 -9.1
2021 2.1 2.7 0.5 NA NA NA NA NA NA NA NA NA 5.4

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart